Sökning: "Nicolas Tingström"

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  1. 1. Sequential parameter and state learning in continuous time stochastic volatility models using the SMC² algorithm

    Master-uppsats, KTH/Matematisk statistik

    Författare :Victor Tingström; [2015]
    Nyckelord :SMC2; SMC; SV models;

    Sammanfattning : In this Master’s thesis, joint sequential inference of both parameters and states of stochastic volatility models is carried out using the SMC2 algorithm found in SMC2: an efficient algorithm for sequential analysis of state-space models, Nicolas Chopin, Pierre E. Jacob, Omiros Papaspiliopoulos. The models under study are the continuous time s.v. LÄS MER